Convert .py to a .exe??

Does anyone know how I can change my program to a .exe, so I can send it to other people, without them seeing my code? Do I need to download A program or something?? (I have tried saving it with a .exe on the end, but it doesnt work when I try to open that one)

Okay i have tried to do this thing with the py2exe but it just does not work could someone send a full supported program for example a question and show me how to do the script as a exe? plz... because i really dnt get it!!!1